First Trust Dorsey Wright DALI 1 ETF (DALI)

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Fund Summary

Investment Objective/Strategy - The First Trust Dorsey Wright DALI 1 ETF seeks investment results that correspond generally to the price and yield (before the Fund's fees and expenses) of an index called the Nasdaq Dorsey Wright DALI 1™ Index (the "Index"). Under normal conditions, the Fund will invest at least 90% of its net assets (including investment borrowings) in the equity securities that comprise the Index.

There can be no assurance that the Fund's investment objectives will be achieved.

Index Description According to the Index Provider

The Index is designed to provide exposure to the asset class that Dorsey, Wright & Associates (DWA) believes may outperform using their Dynamic Asset Level Investing (DALI) process.
To construct the Index, DWA evaluates three broad asset classes: Domestic Equity, International Equity and Commodities.
A roster of investments is established to provide diversified exposure to each asset class and a relative strength calculation is compiled for each member of the roster versus every other member.
After all individual calculations are computed, the number of times a component exhibited stronger relative strength compared to the components of the other asset classes are added together to get a composite strength score for the entire asset class.
The asset class with the highest relative strength score is selected for inclusion in the index and the fund's assets will be allocated among certain ETFs that provide exposure to the asset class, as follows:
- Domestic Equity Securities – 65% Dorsey Wright Focus Five Index constituents, 35% First Trust U.S. large and small capitalization ETFs
- International Equity Securities – 65% Dorsey Wright International Focus Five Index constituents, 35% First Trust international ETFs
- Commodities – 100% First Trust Global Tactical Commodity Strategy Fund
The relative strength analysis to determine the top asset class is performed bi-weekly.
- If applicable, the 65% and 35% target model weights for the Domestic Equity and International Equity asset classes described above will be rebalanced quarterly. If the Commodities asset class is selected as the top scoring asset class, no rebalancing is necessary since the commodities asset class is represented by only a single ETF.
- Additionally, if Domestic Equity or International Equity is selected as the top scoring asset class, rebalancing of the underlying ETF components varies depending on the asset class selected.

Fund Overview

Ticker	DALI
Fund Type	Tactical Equity
Investment Advisor	First Trust Advisors L.P.
Investor Servicing Agent	Brown Brothers Harriman
CUSIP	33738R712
ISIN	US33738R7127
Intraday NAV	DALIIV
Fiscal Year-End	12/31
Exchange	Nasdaq
Inception	5/14/2018
Inception Price	$19.93
Inception NAV	$19.93
Rebalance Frequency	Quarterly

Fees And Expenses

Management Fees	0.30%
Acquired Fund Fees and Expenses	0.62%
Total Annual Expenses	0.92%

As of Date 5/2/2022

The Investment Advisor has implemented fee breakpoints, which reduce the fund's investment management fee at certain assets levels. Please see the fund's SAI for full details.

Current Fund Data (as of 1/25/2023)

Closing NAV¹	$25.83
Closing Market Price²	$25.77
Bid/Ask Midpoint	$25.78
Bid/Ask Discount	0.21%
30-Day Median Bid/Ask Spread³	0.48%
Total Net Assets	$147,227,510
Outstanding Shares	5,700,002
Daily Volume	1,476
Average 30-Day Daily Volume	22,496
Closing Market Price 52-Week High/Low	$29.86 / $23.62
Closing NAV 52-Week High/Low	$29.80 / $23.62
Number of Holdings (excluding cash)	7

Top Holdings (as of 1/25/2023)*

Holding	Percent
First Trust Emerging Markets AlphaDEX® Fund	18.37%
First Trust Developed Markets ex-US AlphaDEX® Fund	18.13%
First Trust Latin America AlphaDEX® Fund	13.70%
First Trust Dow Jones Global Select Dividend Index Fund	12.76%
First Trust Switzerland AlphaDEX® Fund	12.65%
First Trust Japan AlphaDEX® Fund	12.49%
First Trust India NIFTY 50 Equal Weight ETF	11.84%

* Excluding cash. Holdings are subject to change.

NAV History (Since Inception)

Past performance is not indicative of future results.

Overall Morningstar Rating^TM (as of 12/31/2022)⁴

Among 238 funds in the Tactical Allocation category. This fund was rated 4 stars/238 funds (3 years) based on risk adjusted returns.

Distribution Information

Dividend per Share Amt (as of 1/26/2023)⁵	$0.1226
30-Day SEC Yield (as of 12/30/2022)⁶	3.91%
12-Month Distribution Rate (as of 12/30/2022)⁷	0.51%
Index Yield (as of 12/30/2022)⁸	4.97%

Bid/Ask Premium/Discount (as of 1/25/2023)

	2022	Q1 2023	Q2 2023	Q3 2023
Days Traded at Premium	122	5	---	---
Days Traded at Discount	129	11	---	---

Hypothetical Growth of $10,000 Since Inception (as of 1/25/2023) *

Tracking Index: Nasdaq Dorsey Wright DALI 1™ Index

Month End Performance (as of 12/30/2022)

	3 Month	YTD	1 Year	3 Year	5 Year	10 Year	Since Fund Inception¹⁰
Fund Performance *
Net Asset Value (NAV)	1.51%	-8.35%	-8.35%	5.50%	N/A	N/A	4.91%
After Tax Held	1.30%	-8.54%	-8.54%	5.19%	N/A	N/A	4.66%
After Tax Sold	0.90%	-4.94%	-4.94%	4.09%	N/A	N/A	3.69%
Market Price	1.60%	-8.46%	-8.46%	5.44%	N/A	N/A	4.88%

Index Performance **
Nasdaq Dorsey Wright DALI 1™ Index	1.72%	-7.90%	-7.90%	5.86%	N/A	N/A	5.25%
Bloomberg US Aggregate Bond Index	1.87%	-13.01%	-13.01%	-2.71%	N/A	N/A	0.54%
S&P 500 Index	7.56%	-18.11%	-18.11%	7.66%	N/A	N/A	9.55%

Quarter End Performance (as of 12/30/2022)

	3 Month	YTD	1 Year	3 Year	5 Year	10 Year	Since Fund Inception¹⁰
Fund Performance *
Net Asset Value (NAV)	1.51%	-8.35%	-8.35%	5.50%	N/A	N/A	4.91%
After Tax Held	1.30%	-8.54%	-8.54%	5.19%	N/A	N/A	4.66%
After Tax Sold	0.90%	-4.94%	-4.94%	4.09%	N/A	N/A	3.69%
Market Price	1.60%	-8.46%	-8.46%	5.44%	N/A	N/A	4.88%

Index Performance **
Nasdaq Dorsey Wright DALI 1™ Index	1.72%	-7.90%	-7.90%	5.86%	N/A	N/A	5.25%
Bloomberg US Aggregate Bond Index	1.87%	-13.01%	-13.01%	-2.71%	N/A	N/A	0.54%
S&P 500 Index	7.56%	-18.11%	-18.11%	7.66%	N/A	N/A	9.55%

3-Year Statistics (as of 12/30/2022)

	Standard Deviation	Alpha	Beta	Sharpe Ratio	Correlation
DALI	18.18%	0.40	0.66	0.34	0.77
S&P 500 Index	21.16%	---	1.00	0.42	1.00

Standard Deviation is a measure of price variability (risk). Alpha is an indication of how much an investment outperforms or underperforms on a risk-adjusted basis relative to its benchmark.Beta is a measure of price variability relative to the market. Sharpe Ratio is a measure of excess reward per unit of volatility. Correlation is a measure of the similarity of performance.

*Performance data quoted represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate and shares when sold or redeemed, may be worth more or less than their original cost.

After Tax Held returns represent return after taxes on distributions. Assumes shares have not been sold. After Tax Sold returns represent the return after taxes on distributions and the sale of fund shares. Returns do not represent the returns you would receive if you traded shares at other times. Market Price returns are determined by using the midpoint of the national best bid offer price ("NBBO") as of the time that the fund's NAV is calculated. Returns are average annualized total returns, except those for periods of less than one year, which are cumulative.

After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown. The after-tax returns shown are not relevant to investors who hold their fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts.

**Performance information for each listed index is for illustrative purposes only and does not represent actual fund performance. Indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the performance shown. Indexes are unmanaged and an investor cannot invest directly in an index.

Bloomberg US Aggregate Bond Index - The Index covers the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, MBS, ABS, and CMBS.

S&P 500 Index - The Index is an unmanaged index of 500 companies used to measure large-cap U.S. stock market performance.

Footnotes

¹	The NAV represents the fund's net assets (assets less liabilities) divided by the fund's outstanding shares .
²	Fund shares are purchased and sold on an exchange at their market price rather than net asset value (NAV), which may cause the shares to trade at a price greater than NAV (premium) or less than NAV (discount).
³	The median bid-ask spread is calculated by identifying the national best bid and national best offer ("NBBO") for the fund as of the end of each 10 second interval during each trading day of the last 30 calendar days and dividing the difference between each such bid and offer by the midpoint of the NBBO. The median of those values is identified and that value is expressed as a percentage rounded to the nearest hundredth.
⁴	The Morningstar Rating^TM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The Morningstar Rating does not include any adjustment for sales loads. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10-year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods.
⁵	Most recent distribution paid or declared to today's date. Subject to change in the future. There is no guarantee that the fund will declare dividends.
⁶	The 30-day SEC yield is calculated by dividing the net investment income per share earned during the most recent 30-day period by the maximum offering price per share on the last day of the period and includes the effects of fee waivers and expense reimbursements, if applicable.
⁷	12-Month Distribution Rate is calculated by dividing the sum of the fund's trailing 12-month ordinary distributions paid or declared by the NAV price. Distribution rates may vary.
⁸	Index yield represents the weighted average trailing 12-month dividend of the constituents of the Nasdaq Dorsey Wright DALI 1(TM) Index.
⁹	Distribution Rate is calculated by dividing the fund's most recent ordinary distribution paid or declared, on an annualized basis, by the NAV price. Distribution rates may vary.
¹⁰	Inception Date is 5/14/2018

You should consider the fund's investment objectives, risks, and charges and expenses carefully before investing. You can download a prospectus or summary prospectus, or contact First Trust Portfolios L.P. at 1-800-621-1675 to request a prospectus or summary prospectus which contains this and other information about the fund. The prospectus or summary prospectus should be read carefully before investing.

Risk Considerations

You could lose money by investing in a fund. An investment in a fund is not a deposit of a bank and is not insured or guaranteed. There can be no assurance that a fund's objective(s) will be achieved. Investors buying or selling shares on the secondary market may incur customary brokerage commissions. Please refer to each fund's prospectus and SAI for additional details on a fund's risks. The order of the below risk factors does not indicate the significance of any particular risk factor.

A fund composed of a very small number of ETFs involves additional risk, including limited diversification.

Unlike mutual funds, shares of the fund may only be redeemed directly from a fund by authorized participants in very large creation/redemption units. If a fund's authorized participants are unable to proceed with creation/redemption orders and no other authorized participant is able to step forward to create or redeem, fund shares may trade at a premium or discount to a fund's net asset value and possibly face delisting and the bid/ask spread may widen.

The failure or bankruptcy of a fund's and the subsidiary's clearing broker could result in substantial loss of fund assets.

Commodity prices can have significant volatility, and exposure to commodities can cause the value of a fund's shares to decline or fluctuate in a rapid and unpredictable manner.

Investments linked to the prices of commodities may be considered speculative and subject a fund to greater volatility than investments in traditional securities.

To avoid exceeding position limits set by the Commodity Futures Trading Commission, a fund may have to liquidate commodity contract positions at disadvantageous times or prices which may result in substantial loss of fund assets.

A fund may be subject to the risk that a counterparty will not fulfill its obligations which may result in significant financial loss to a fund.

Changes in currency exchange rates and the relative value of non-US currencies may affect the value of a fund's investments and the value of a fund's shares.

A fund is susceptible to operational risks through breaches in cyber security. Such events could cause a fund to incur regulatory penalties, reputational damage, additional compliance costs associated with corrective measures and/or financial loss.

Depositary receipts may be less liquid than the underlying shares in their primary trading market and distributions may be subject to a fee. Holders may have limited voting rights, and investment restrictions in certain countries may adversely impact their value.

The use of derivatives instruments involves different and possibly greater risks than investing directly in securities including counterparty risk, valuation risk, volatility risk, and liquidity risk. Further, losses because of adverse movements in the price or value of the underlying asset, index or rate may be magnified by certain features of the derivatives.

Investments in emerging market securities are generally considered speculative and involve additional risks relating to political, economic and regulatory conditions.

Equity securities may decline significantly in price over short or extended periods of time, and such declines may occur in the equity market as a whole, or they may occur in only a particular country, company, industry or sector of the market.

A fund may invest in the shares of other ETFs, which involves additional expenses that would not be present in a direct investment in the underlying funds. In addition, a fund's investment performance and risks may be related to the investment performance and risks of the underlying funds.

The frequent trading of commodity futures contracts may increase the amount of commissions or mark-ups that a fund pays when it buys and sells contracts which may detract from a fund's performance.

The risk of a position in a futures contract may be very large compared to the relatively low level of margin a fund is required to deposit and a relatively small price movement in a futures contract may result in immediate and substantial loss relative to the size of margin deposit.

A commodity price may change substantially between periods of trading due to adverse news announcements.

An index fund will be concentrated in an industry or a group of industries to the extent that the index is so concentrated. A fund with significant exposure to a single asset class, or the securities of issuers within the same country, state, region, industry, or sector may have its value more affected by an adverse economic, business or political development than a broadly diversified fund.

There is no assurance that the index provider or its agents will compile or maintain the index accurately. Losses or costs associated with any index provider errors generally will be borne by a fund and its shareholders.

A fund may own a significant portion of the First Trust ETFs included in a fund. Any such ETF may be removed from the Index if it does not comply with the Index's eligibility requirements. A fund may be forced to sell shares of certain First Trust ETFs at inopportune times or for prices other than at current market values or may elect not to sell such shares on the day that they are removed from the Index, due to market conditions or otherwise. Due to these factors, the variation between a fund's annual return and the return of the Index may increase significantly.

Leverage may result in losses that exceed the amount originally invested and may accelerate the rates of losses. Leverage tends to magnify, sometimes significantly, the effect of any increase or decrease in a fund's exposure to an asset or class of assets and may cause the value of a fund's shares to be volatile and sensitive to market swings.

Certain fund investments may be subject to restrictions on resale, trade over-the-counter or in limited volume, or lack an active trading market. Illiquid securities may trade at a discount and may be subject to wide fluctuations in market value.

Market risk is the risk that a particular security, or shares of a fund in general may fall in value. Securities are subject to market fluctuations caused by such factors as general economic conditions, political events, regulatory or market developments, changes in interest rates and perceived trends in securities prices. Shares of a fund could decline in value or underperform other investments as a result. In addition, local, regional or global events such as war, acts of terrorism, spread of infectious disease or other public health issues, recessions, or other events could have significant negative impact on a fund. In February 2022, Russia invaded Ukraine which has caused and could continue to cause significant market disruptions and volatility within the markets in Russia, Europe, and the United States. The hostilities and sanctions resulting from those hostilities could have a significant impact on certain fund investments as well as fund performance. The COVID-19 global pandemic and the ensuing policies enacted by governments and central banks have caused and may continue to cause significant volatility and uncertainty in global financial markets. While the U.S. has resumed "reasonably" normal business activity, many countries continue to impose lockdown measures. Additionally, there is no guarantee that vaccines will be effective against emerging variants of the disease.

A fund faces numerous market trading risks, including the potential lack of an active market for fund shares due to a limited number of market makers. Decisions by market makers or authorized participants to reduce their role or step away in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of a fund's portfolio securities and a fund's market price.

A "momentum" style of investing emphasizes selecting stocks that have had higher recent price performance compared to other stocks. Momentum can turn quickly and cause significant variation from other types of investments.

An index fund's return may not match the return of the index for a number of reasons including operating expenses, costs of buying and selling securities to reflect changes in the index, and the fact that a fund's portfolio holdings may not exactly replicate the index.

Securities of non-U.S. issuers are subject to additional risks, including currency fluctuations, political risks, withholding, lack of liquidity, lack of adequate financial information, and exchange control restrictions impacting non-U.S. issuers.

A fund and a fund's advisor may seek to reduce various operational risks through controls and procedures, but it is not possible to completely protect against such risks. The fund also relies on third parties for a range of services, including custody, and any delay or failure related to those services may affect the fund's ability to meet its objective.

A fund that invests in securities included in or representative of an index will hold those securities regardless of investment merit and the fund generally will not take defensive positions in declining markets.

High portfolio turnover may result in higher levels of transaction costs and may generate greater tax liabilities for shareholders.

The market price of a fund's shares will generally fluctuate in accordance with changes in the fund's net asset value ("NAV") as well as the relative supply of and demand for shares on the exchange, and a fund's investment advisor cannot predict whether shares will trade below, at or above their NAV.

Securities of small- and mid-capitalization companies may experience greater price volatility and be less liquid than larger, more established companies.

Subsidiary investment risk applies to a fund that invests in certain securities through a wholly-owned subsidiary of the fund that is organized under the laws of the Cayman Islands ("Subsidiary"). Changes in the laws of the U.S. and/or Cayman Islands could result in the inability of a fund to operate as intended. The Subsidiary is not registered under the 1940 Act and is not subject to all the investor protections of the 1940 Act. Thus, a fund that is as an investor in the Subsidiary will not have all the protections offered to investors in registered investment companies.

Trading on an exchange may be halted due to market conditions or other reasons. There can be no assurance that a fund's requirements to maintain the exchange listing will continue to be met or be unchanged.

A fund may hold securities or other assets that may be valued on the basis of factors other than market quotations. This may occur because the asset or security does not trade on a centralized exchange, or in times of market turmoil or reduced liquidity. Portfolio holdings that are valued using techniques other than market quotations, including "fair valued" assets or securities, may be subject to greater fluctuation in their valuations from one day to the next than if market quotations were used. There is no assurance that a fund could sell or close out a portfolio position for the value established for it at any time.

A fund may invest in securities that exhibit more volatility than the market as a whole.

First Trust Advisors L.P. is the adviser to the fund. First Trust Advisors L.P. is an affiliate of First Trust Portfolios L.P., the fund’s distributor.

Nasdaq® and Nasdaq Dorsey Wright DALI 1™Index. Index are registered trademarks and service marks of Nasdaq, Inc. (together with its affiliates hereinafter referred to as the “Corporations”) and are licensed for use by First Trust. The Fund has not been passed on by the Corporations as to its legality or suitability. The Fund is not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND.

©2023 Morningstar, Inc. All Rights Reserved. The Morningstar Rating^TM information contained herein: (1) is proprietary to Morningstar;(2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

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Not FDIC Insured • Not Bank Guaranteed • May Lose Value